Basel III and Solvency II
59 white papers and resources
How to build CVA on top of an existing risk structure
This white paper explores the current credit valuation adjustment (CVA) landscape, looking at the different challenges of implementation. It discusses the various CVA strategies that are available to banks and provides insight to those looking to implement CVA projects effectively.
Basel III reforms: how easy will it be to mitigate CVA capital charges?
One of the most important, and also controversial, reforms under the Basel III framework is the introduction of credit valuation adjustment into calculations of counterparty credit risk capital. Baker & McKenzie analyse Article 375 on eligible hedges to see what guidance it can provide.
Basel III Data Aggregation – Asking the Impossible?
For the first time in banking regulation there are explicit requirements for accuracy, completeness and timeliness in the aggregation of risk data. This white paper considers these obligations as set out in Basel III, and discusses how to build the systems and processes that can best ensure cost…
Basel Committee 2012 – Risk Data Aggregation
As regulators reviews key lessons from the financial crisis, banks face new requirements to ensure that their information technology and data architectures are adequate in supporting the broad management of financial risks. This white paper discusses how this can be achieved.
The impact of Solvency II on bond management
This white paper analyses the bond Solvency Capital Requirement as a risk measure, the effects of this risk measure on bond management within a return volatility-Value-at-Risk-SCR universe, and whether Solvency II will lead to a new bond hierarchy and arbitrage opportunities.
Transparency in fund investments - a capital advantage
This article discusses how look-through approach can be used to improve risk management and capital efficiency for an insurance company investment in a pooled fund within the context of the requirements under Solvency II.
Wrong-way CVA done right
Credit valuation adjustment (CVA) has been at the forefront of many discussions since the 2007–2008 financial crisis as a result of losses taken by major market participants due to counterparty defaults on derivatives. Basel III and threatened clearing requirements are driving change.
Putting cash to work - Now and post Solvency II
It looks like low interest rates are here to stay for some time. Insurance companies need to work out how to place their money and how to diversify, because there is little yield to be had at the front end of the curve. How investors can play a more active role in reviewing and structuring their…
Solvency II – Market risk: Getting off the data starting blocks
The associated asset data challenges under Solvency II are more complex than some insurers think and should not be ignored, as Peter Luckhurst, senior product manager at BNY Mellon Asset Servicing, exposes.
Managing emerging risks and macro-prudential regulation
A 2012 survey of global financial institutions, sponsored by Oracle Financial Services, has explored how firms are coping with the new macro-prudential regulatory environment. While many financial institutions see the new requirements as an opportunity to differentiate themselves, challenges in…